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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS
Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 97.8 98.7 89.6 * * *
Weighted Avg. Price 98.6 99.2 91.7 * * *
Avg. Price Bottom 5 Trades 92.0 95.3 82.7 * * *
2nd Quartile Price 97.7 96.8 85.0 * * *
3rd Quartile Price 98.5 99.3 89.4 * * *
4th Quartile Price 99.3 100.6 95.4 * * *
Avg. Price Top 5 Trades 99.8 102.4 97.1 * * *
Standard Deviation 2.2 2.4 5.5 * * *
VOLUME OF TRADES (000'S) 119,094.7 131,005.0 1,047,077.0 * * *
Customer Buy 61,035.3 27,485.3 358,715.7 * * *
Customer Sell 21,711.0 51,099.7 474,017.6 - * *
Dealer to Dealer 36,348.5 52,420.1 214,343.8 - - -
<= $1MM 8,009.9 4,094.5 3,750.6 * - -
<= $10MM 41,664.8 29,911.1 43,601.8 - * *
> $10MM * * 999,724.7 - * *
NUMBER OF TRADES 61 40 39 * * *
Customer Buy 22 12 9 * * *
Customer Sell 30 18 20 - * *
Dealer to Dealer 9 10 10 - - -
<= $1MM 45 29 18 * - -
<= $10MM 14 7 7 - * *
> $10MM * * 14 - * *

Pricing Table: CMBS Conduit by Deal Vintage
METRIC CONDUIT AAA LCF (P&I) CONDUIT AAA (P&I) CONDUIT AAA (IO/PO) CONDUIT IG (P&I) CONDUIT IG (IO/PO) CONDUIT HY (P&I) CONDUIT HY (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE 98.7 95.0 90.9 98.5 95.6 89.7 1.4 - * 94.2 82.1 * * - - * - - - - -
Weighted Avg. Price 98.7 95.2 92.1 98.7 96.5 94.0 1.3 - * 95.5 79.8 * * - - * - - - - -
Avg. Price Bottom 5 Trades 96.6 93.4 86.3 95.6 93.6 86.3 1.3 - * 87.8 75.2 * * - - * - - - - -
2nd Quartile Price 98.6 92.5 87.0 98.4 95.8 87.8 1.4 - * 94.5 77.3 * * - - * - - - - -
3rd Quartile Price 99.0 93.3 90.5 99.1 96.4 90.0 1.4 - * 97.0 79.8 * * - - * - - - - -
4th Quartile Price 99.5 100.0 97.1 99.2 97.5 92.1 1.7 - * 98.9 91.0 * * - - * - - - - -
Avg. Price Top 5 Trades 99.7 97.1 96.7 99.5 97.3 93.1 1.5 - * 98.6 92.0 * * - - * - - - - -
Standard Deviation 1.1 3.2 5.3 1.4 2.5 5.7 0.2 - * 6.4 8.3 * * - - * - - - - -
VOLUME OF TRADES (000'S) 39,048.5 43,755.8 99,693.0 131,709.0 112,813.1 55,400.0 30,861.9 - * 89,142.0 31,261.9 * * - - * - - - - -
Customer Buy 18,134.3 * 43,220.0 65,239.6 63,999.7 45,550.0 * - * 42,171.0 12,486.9 * - - - * - - - - -
Customer Sell 12,959.4 11,654.0 56,073.0 66,146.0 48,813.4 * 17,836.3 - * 41,971.0 16,275.0 - * - - - - - - - -
Dealer to Dealer 7,954.8 * * * - - - - * * * - - - - - - - - - -
<= $1MM 12,813.8 * * 2,807.4 4,225.0 * * - * 1,420.0 * - - - - * - - - - -
<= $10MM 26,234.7 42,591.8 29,686.0 108,155.9 * 18,400.0 28,385.8 - * 21,100.0 29,050.0 * * - - - - - - - -
> $10MM - - * * * * - - - * - - - - - - - - - - -
NUMBER OF TRADES 40 11 15 37 11 10 9 - * 15 14 * * - - * - - - - -
Customer Buy 20 * 6 16 5 6 * - * 7 7 * - - - * - - - - -
Customer Sell 12 5 8 19 6 * 6 - * 6 6 - * - - - - - - - -
Dealer to Dealer 8 * * * - - - - * * * - - - - - - - - - -
<= $1MM 29 * * 11 5 * * - * 5 * - - - - * - - - - -
<= $10MM 11 9 7 24 * 6 5 - * 6 10 * * - - - - - - - -
> $10MM - - * * * * - - - * - - - - - - - - - - -

Pricing Table: CMBS Other by Deal Vintage
METRIC OTHER CMBS AAA LCF (P&I) OTHER CMBS AAA (P&I) OTHER CMBS AAA (IO/PO) OTHER CMBS IG (P&I) OTHER CMBS IG (IO/PO) OTHER CMBS HY (P&I) OTHER CMBS HY (IO/PO)
PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022 PRE-2017 2017-2019 2020-2022
AVERAGE PRICE * - - 97.1 92.5 95.5 - - - 97.0 93.5 90.7 - - - 77.9 95.6 92.3 - - -
Weighted Avg. Price * - - 96.5 90.2 95.7 - - - 94.4 93.2 86.0 - - - 77.2 95.7 92.1 - - -
Avg. Price Bottom 5 Trades * - - 94.7 87.9 90.9 - - - 94.6 90.0 81.7 - - - 77.9 94.5 86.0 - - -
2nd Quartile Price * - - 95.4 88.1 95.8 - - - 98.0 90.9 90.6 - - - * 96.5 92.3 - - -
3rd Quartile Price * - - 99.5 93.7 96.2 - - - 98.2 96.0 94.0 - - - * 97.0 92.7 - - -
4th Quartile Price * - - 99.9 97.2 97.0 - - - 99.8 97.3 95.5 - - - * 99.8 94.3 - - -
Avg. Price Top 5 Trades * - - 99.5 96.7 97.6 - - - 99.7 97.0 95.9 - - - 77.9 97.4 96.8 - - -
Standard Deviation * - - 2.9 4.1 2.8 - - - 3.6 3.9 6.3 - - - 2.9 3.9 3.7 - - -
VOLUME OF TRADES (000'S) * - - 8,880.7 52,805.0 47,902.0 - - - 22,646.0 18,043.0 33,707.3 - - - 3,404.6 22,233.1 80,102.0 - - -
Customer Buy * - - 3,120.7 * 29,561.5 - - - 10,680.0 * 17,470.9 - - - * * 31,888.0 - - -
Customer Sell * - - 5,760.0 34,420.0 18,340.5 - - - 11,633.0 13,670.0 16,236.4 - - - * * 48,214.0 - - -
Dealer to Dealer - - - - - - - - - * - - - - - * - - - - -
<= $1MM * - - 3,510.7 * 4,400.7 - - - 4,486.0 2,917.0 4,701.0 - - - * * * - - -
<= $10MM * - - * 39,300.0 32,166.5 - - - 18,160.0 * 29,006.3 - - - * 21,793.1 78,832.0 - - -
> $10MM - - - - * * - - - - - - - - - - - - - - -
NUMBER OF TRADES * - - 10 13 26 - - - 12 10 17 - - - 6 7 27 - - -
Customer Buy * - - 5 * 15 - - - 5 * 6 - - - * * 12 - - -
Customer Sell * - - 5 10 11 - - - 6 6 11 - - - * * 15 - - -
Dealer to Dealer - - - - - - - - - * - - - - - * - - - - -
<= $1MM * - - 6 * 12 - - - 7 6 10 - - - * * * - - -
<= $10MM * - - * 11 13 - - - 5 * 7 - - - * 6 23 - - -
> $10MM - - - - * * - - - - - - - - - - - - - - -

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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